Steam has a halloween sale on the FEAR franchise (loved the first ones) and on Condemned: Criminal Origins. In my opinion the first FEAR (and the two "expansions") are some of the scariest games I've played in the FPS genre.

Condemned is in a league of its own. The player takes on the role of Ethan Thomas, a crime scene investigation agent with the FBI's Serial Crime Unit, as he traverses the seedier sides of the city. A FPS, the focus is on examining crime scenes, puzzle solving and melee combat. There are some weapons but they are limited in ammo supplies. It is survival horror-y, has a few quicktime events iirc and you can and will die. A lot.

What do you recommend as you-ve-got-to-play-it-at-least-once horror games?

Hands down. The scariest game I've ever played is Amnesia: The Dark Descent. It's pure survival horror. I tried to play it a second time and couldn't bring myself to finish it because I knew about the scary parts!